{ "generated_at": "2026-07-12T21:27:01.661724+00:00", "tickers": 506, "candidates": 120265, "qualified": 604, "params": { "step_days": 5, "horizon_days": 30, "min_lookback": 60, "cost_per_side_pct": 0.1, "sr_variant": "gate_v2_legacy_primary", "entry_start": null, "entry_end": "2024-06-30" }, "activation": { "min_momentum_percentile": 80.0, "min_rr": 2.0, "min_confidence": 0.0, "require_high_conviction": false, "exclude_conflicts": false, "exclude_neutral": true }, "overall_qualified": { "total": 604, "wins": 213, "losses": 341, "expired": 50, "hit_rate": 38.4, "avg_r": 0.233, "total_r": 140.92, "net_avg_r": 0.187, "net_total_r": 113.24, "best_r": 4.05, "worst_r": -3.43, "avg_hold_days": 12.1, "net_r_per_day": 0.0155, "median_net_r": -1.033, "profit_factor": 1.3, "net_avg_r_ex_top5": 0.041 }, "overall_all": { "total": 120265, "wins": 49881, "losses": 66989, "expired": 3395, "hit_rate": 42.7, "avg_r": -0.032, "total_r": -3867.82, "net_avg_r": -0.087, "net_total_r": -10454.77, "best_r": 6.46, "worst_r": -8.6, "avg_hold_days": 8.0, "net_r_per_day": -0.0108, "median_net_r": -1.035, "profit_factor": 0.86, "net_avg_r_ex_top5": -0.209 }, "by_direction": { "long": { "total": 604, "wins": 213, "losses": 341, "expired": 50, "hit_rate": 38.4, "avg_r": 0.233, "total_r": 140.92, "net_avg_r": 0.187, "net_total_r": 113.24, "best_r": 4.05, "worst_r": -3.43, "avg_hold_days": 12.1, "net_r_per_day": 0.0155, "median_net_r": -1.033, "profit_factor": 1.3, "net_avg_r_ex_top5": 0.041 }, "short": { "total": 0, "wins": 0, "losses": 0, "expired": 0, "hit_rate": null, "avg_r": null, "total_r": null, "net_avg_r": null, "net_total_r": null, "best_r": null, "worst_r": null, "avg_hold_days": null, "net_r_per_day": null, "median_net_r": null, "profit_factor": null, "net_avg_r_ex_top5": null } }, "min_momentum_percentile": 80.0, "sweep": [ { "min_momentum_percentile": 90.0, "total": 274, "wins": 98, "losses": 157, "expired": 19, "hit_rate": 38.4, "avg_r": 0.222, "total_r": 60.7, "net_avg_r": 0.18, "net_total_r": 49.39, "best_r": 3.28, "worst_r": -3.12, "avg_hold_days": 11.5, "net_r_per_day": 0.0157, "median_net_r": -1.032, "profit_factor": 1.28, "net_avg_r_ex_top5": 0.039 }, { "min_momentum_percentile": 80.0, "total": 604, "wins": 213, "losses": 341, "expired": 50, "hit_rate": 38.4, "avg_r": 0.233, "total_r": 140.92, "net_avg_r": 0.187, "net_total_r": 113.24, "best_r": 4.05, "worst_r": -3.43, "avg_hold_days": 12.1, "net_r_per_day": 0.0155, "median_net_r": -1.033, "profit_factor": 1.3, "net_avg_r_ex_top5": 0.041 }, { "min_momentum_percentile": 70.0, "total": 1004, "wins": 354, "losses": 555, "expired": 95, "hit_rate": 38.9, "avg_r": 0.238, "total_r": 239.02, "net_avg_r": 0.19, "net_total_r": 191.08, "best_r": 4.05, "worst_r": -3.44, "avg_hold_days": 12.3, "net_r_per_day": 0.0154, "median_net_r": -1.034, "profit_factor": 1.31, "net_avg_r_ex_top5": 0.047 }, { "min_momentum_percentile": 60.0, "total": 1462, "wins": 515, "losses": 796, "expired": 151, "hit_rate": 39.3, "avg_r": 0.255, "total_r": 372.12, "net_avg_r": 0.206, "net_total_r": 300.51, "best_r": 4.05, "worst_r": -3.44, "avg_hold_days": 12.6, "net_r_per_day": 0.0163, "median_net_r": -1.034, "profit_factor": 1.34, "net_avg_r_ex_top5": 0.063 }, { "min_momentum_percentile": 50.0, "total": 2041, "wins": 689, "losses": 1130, "expired": 222, "hit_rate": 37.9, "avg_r": 0.218, "total_r": 444.26, "net_avg_r": 0.168, "net_total_r": 342.13, "best_r": 4.05, "worst_r": -3.97, "avg_hold_days": 12.8, "net_r_per_day": 0.0131, "median_net_r": -1.036, "profit_factor": 1.27, "net_avg_r_ex_top5": 0.023 }, { "min_momentum_percentile": 0.0, "total": 7443, "wins": 2042, "losses": 4623, "expired": 778, "hit_rate": 30.6, "avg_r": 0.003, "total_r": 20.05, "net_avg_r": -0.046, "net_total_r": -344.83, "best_r": 6.46, "worst_r": -5.16, "avg_hold_days": 12.4, "net_r_per_day": -0.0037, "median_net_r": -1.041, "profit_factor": 0.93, "net_avg_r_ex_top5": -0.202 } ], "gate_ablation": [ { "variant": "all_floors", "total": 604, "wins": 213, "losses": 341, "expired": 50, "hit_rate": 38.4, "avg_r": 0.233, "total_r": 140.92, "net_avg_r": 0.187, "net_total_r": 113.24, "best_r": 4.05, "worst_r": -3.43, "avg_hold_days": 12.1, "net_r_per_day": 0.0155, "median_net_r": -1.033, "profit_factor": 1.3, "net_avg_r_ex_top5": 0.041, "hold_days": 30, "hold_avg_r": 0.51, "hold_net_avg_r": 0.464, "hold_total_r": 307.86 }, { "variant": "no_confidence_floor", "total": 627, "wins": 219, "losses": 356, "expired": 52, "hit_rate": 38.1, "avg_r": 0.223, "total_r": 139.73, "net_avg_r": 0.177, "net_total_r": 110.95, "best_r": 4.05, "worst_r": -3.43, "avg_hold_days": 12.0, "net_r_per_day": 0.0147, "median_net_r": -1.034, "profit_factor": 1.28, "net_avg_r_ex_top5": 0.031, "hold_days": 30, "hold_avg_r": 0.504, "hold_net_avg_r": 0.458, "hold_total_r": 315.9 }, { "variant": "no_rr_floor", "total": 3885, "wins": 1814, "losses": 1974, "expired": 97, "hit_rate": 47.9, "avg_r": 0.121, "total_r": 470.52, "net_avg_r": 0.069, "net_total_r": 266.24, "best_r": 4.05, "worst_r": -6.02, "avg_hold_days": 8.0, "net_r_per_day": 0.0086, "median_net_r": -1.021, "profit_factor": 1.12, "net_avg_r_ex_top5": -0.051, "hold_days": 30, "hold_avg_r": 0.362, "hold_net_avg_r": 0.31, "hold_total_r": 1407.29 }, { "variant": "no_neutral_exclusion", "total": 1359, "wins": 466, "losses": 758, "expired": 135, "hit_rate": 38.1, "avg_r": 0.205, "total_r": 278.13, "net_avg_r": 0.159, "net_total_r": 215.59, "best_r": 4.05, "worst_r": -4.08, "avg_hold_days": 12.8, "net_r_per_day": 0.0124, "median_net_r": -1.032, "profit_factor": 1.26, "net_avg_r_ex_top5": 0.02, "hold_days": 30, "hold_avg_r": 0.52, "hold_net_avg_r": 0.474, "hold_total_r": 706.94 }, { "variant": "momentum_only", "total": 7747, "wins": 3464, "losses": 4006, "expired": 277, "hit_rate": 46.4, "avg_r": 0.118, "total_r": 912.43, "net_avg_r": 0.067, "net_total_r": 516.57, "best_r": 4.05, "worst_r": -6.02, "avg_hold_days": 8.8, "net_r_per_day": 0.0076, "median_net_r": -1.025, "profit_factor": 1.12, "net_avg_r_ex_top5": -0.051, "hold_days": 30, "hold_avg_r": 0.416, "hold_net_avg_r": 0.365, "hold_total_r": 3224.39 } ], "gate_ablation_note": "Each row re-qualifies the same candidates at the current momentum cutoff (80) with one floor removed (long-only while the momentum gate is active). If dropping a floor doesn't hurt net expectancy, that floor isn't pulling its weight. The Hold columns grade the same variants under the hold-to-horizon time exit instead of the S/R target \u2014 the view that matters if the exit policy moves to a fixed hold.", "time_exit_sweep": [ { "hold_days": 5, "total": 604, "wins": 335, "win_rate": 55.5, "avg_r": 0.147, "total_r": 88.83, "net_avg_r": 0.101, "net_total_r": 61.15, "best_r": 5.67, "worst_r": -3.12, "avg_hold_days": 4.5, "net_r_per_day": 0.0227, "median_net_r": 0.097, "profit_factor": 1.29, "net_avg_r_ex_top5": -0.026 }, { "hold_days": 10, "total": 604, "wins": 308, "win_rate": 51.0, "avg_r": 0.318, "total_r": 192.3, "net_avg_r": 0.273, "net_total_r": 164.62, "best_r": 5.86, "worst_r": -3.12, "avg_hold_days": 7.8, "net_r_per_day": 0.0347, "median_net_r": 0.005, "profit_factor": 1.59, "net_avg_r_ex_top5": 0.078 }, { "hold_days": 21, "total": 604, "wins": 268, "win_rate": 44.4, "avg_r": 0.508, "total_r": 306.94, "net_avg_r": 0.462, "net_total_r": 279.26, "best_r": 7.63, "worst_r": -3.12, "avg_hold_days": 13.9, "net_r_per_day": 0.0334, "median_net_r": -1.022, "profit_factor": 1.8, "net_avg_r_ex_top5": 0.192 }, { "hold_days": 30, "total": 604, "wins": 232, "win_rate": 38.4, "avg_r": 0.51, "total_r": 307.86, "net_avg_r": 0.464, "net_total_r": 280.19, "best_r": 9.85, "worst_r": -3.43, "avg_hold_days": 18.0, "net_r_per_day": 0.0258, "median_net_r": -1.035, "profit_factor": 1.7, "net_avg_r_ex_top5": 0.117 } ], "portfolio_sim": { "params": { "starting_capital": 10000.0, "max_positions": 10, "risk_per_trade_pct": 1.0, "notional_cap_pct": 20.0, "cost_per_side_pct": 0.1, "hold_days": 30 }, "policies": [ { "policy": "target", "starting_capital": 10000.0, "final_equity": 11551.15, "total_return_pct": 15.5, "cagr_pct": 7.1, "max_drawdown_pct": 28.7, "sharpe": 0.47, "trades": 204, "win_rate": 36.3, "avg_trade_pnl": 7.6, "best_trade_r": 3.03, "worst_trade_r": -2.69, "best_trade_pnl": 264.51, "worst_trade_pnl": -175.82, "avg_hold_days": 11.3, "exit_reasons": { "stop": 126, "target": 65, "time": 13 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": -5.3 }, { "year": 2023, "return_pct": 0.2 }, { "year": 2024, "return_pct": 21.8 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" }, { "policy": "hold", "starting_capital": 10000.0, "final_equity": 14895.03, "total_return_pct": 49.0, "cagr_pct": 21.0, "max_drawdown_pct": 16.2, "sharpe": 1.01, "trades": 158, "win_rate": 35.4, "avg_trade_pnl": 30.98, "best_trade_r": 9.03, "worst_trade_r": -1.39, "best_trade_pnl": 932.46, "worst_trade_pnl": -163.92, "avg_hold_days": 16.8, "exit_reasons": { "stop": 98, "time": 60 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": 2.5 }, { "year": 2023, "return_pct": 33.8 }, { "year": 2024, "return_pct": 8.6 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" } ], "note": "One capital-constrained book over the same qualified setups the tables above grade per-setup: at most 10 concurrent positions (one per ticker), best momentum first, fixed-fractional risk sizing with a no-leverage cap, entries at the detection close, stops filled at the worse of stop or open. 'target' races the S/R target against the stop (timeout at the horizon); 'hold' keeps the initial stop and exits at the horizon close. SPY return is price-only over the same window. In-sample; no dividends." }, "strategy_variants": { "variants": [ { "variant": "production_residual_80_fixed10", "label": "Production residual 80 / max 10", "ranking": "residual", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 14895.03, "total_return_pct": 49.0, "cagr_pct": 21.0, "max_drawdown_pct": 16.2, "sharpe": 1.01, "trades": 158, "win_rate": 35.4, "avg_trade_pnl": 30.98, "best_trade_r": 9.03, "worst_trade_r": -1.39, "best_trade_pnl": 932.46, "worst_trade_pnl": -163.92, "avg_hold_days": 16.8, "exit_reasons": { "stop": 98, "time": 60 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": 2.5 }, { "year": 2023, "return_pct": 33.8 }, { "year": 2024, "return_pct": 8.6 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" }, { "variant": "legacy_raw_80_fixed10", "label": "Legacy raw 80 / max 10", "ranking": "raw", "cutoff": 80.0, "filters": [ { "percentile_key": "momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 11753.27, "total_return_pct": 17.5, "cagr_pct": 8.0, "max_drawdown_pct": 19.9, "sharpe": 0.49, "trades": 159, "win_rate": 28.9, "avg_trade_pnl": 11.03, "best_trade_r": 9.09, "worst_trade_r": -1.52, "best_trade_pnl": 846.32, "worst_trade_pnl": -157.08, "avg_hold_days": 15.6, "exit_reasons": { "stop": 108, "time": 51 }, "skipped_book_full": 0, "spy_return_pct": 36.3, "yearly_returns": [ { "year": 2022, "return_pct": 0.1 }, { "year": 2023, "return_pct": 13.8 }, { "year": 2024, "return_pct": 3.2 } ], "start_date": "2022-06-28", "end_date": "2024-08-07" }, { "variant": "raw_90_fixed10", "label": "Raw 90 / max 10", "ranking": "raw", "cutoff": 90.0, "filters": [ { "percentile_key": "momentum_percentile", "cutoff": 90.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 10955.83, "total_return_pct": 9.6, "cagr_pct": 4.5, "max_drawdown_pct": 19.3, "sharpe": 0.34, "trades": 109, "win_rate": 31.2, "avg_trade_pnl": 8.77, "best_trade_r": 9.09, "worst_trade_r": -1.34, "best_trade_pnl": 819.29, "worst_trade_pnl": -140.15, "avg_hold_days": 15.9, "exit_reasons": { "stop": 72, "time": 37 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": -4.1 }, { "year": 2023, "return_pct": 15.4 }, { "year": 2024, "return_pct": -1.0 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" }, { "variant": "residual_80_fixed15", "label": "Residual 80 / max 15 capacity check", "ranking": "residual", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 15, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 14895.03, "total_return_pct": 49.0, "cagr_pct": 21.0, "max_drawdown_pct": 16.2, "sharpe": 1.01, "trades": 158, "win_rate": 35.4, "avg_trade_pnl": 30.98, "best_trade_r": 9.03, "worst_trade_r": -1.39, "best_trade_pnl": 932.46, "worst_trade_pnl": -163.92, "avg_hold_days": 16.8, "exit_reasons": { "stop": 98, "time": 60 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": 2.5 }, { "year": 2023, "return_pct": 33.8 }, { "year": 2024, "return_pct": 8.6 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" }, { "variant": "residual80_lowvol50_fixed10", "label": "Residual 80 + low-vol 50 / max 10", "ranking": "residual+low_vol_filter", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 }, { "percentile_key": "low_vol_6m_percentile", "cutoff": 50.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 13844.82, "total_return_pct": 38.4, "cagr_pct": 17.3, "max_drawdown_pct": 7.8, "sharpe": 1.79, "trades": 53, "win_rate": 50.9, "avg_trade_pnl": 72.54, "best_trade_r": 8.26, "worst_trade_r": -1.93, "best_trade_pnl": 624.66, "worst_trade_pnl": -155.27, "avg_hold_days": 20.2, "exit_reasons": { "stop": 25, "time": 28 }, "skipped_book_full": 0, "spy_return_pct": 47.5, "yearly_returns": [ { "year": 2022, "return_pct": 17.9 }, { "year": 2023, "return_pct": 13.9 }, { "year": 2024, "return_pct": 3.1 } ], "start_date": "2022-06-28", "end_date": "2024-07-10" }, { "variant": "residual80_lowvol70_fixed10", "label": "Residual 80 + low-vol 70 / max 10", "ranking": "residual+low_vol_filter", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 }, { "percentile_key": "low_vol_6m_percentile", "cutoff": 70.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 12236.54, "total_return_pct": 22.4, "cagr_pct": 10.7, "max_drawdown_pct": 6.1, "sharpe": 1.43, "trades": 33, "win_rate": 51.5, "avg_trade_pnl": 67.77, "best_trade_r": 5.21, "worst_trade_r": -1.16, "best_trade_pnl": 427.06, "worst_trade_pnl": -96.61, "avg_hold_days": 19.9, "exit_reasons": { "stop": 15, "time": 18 }, "skipped_book_full": 0, "spy_return_pct": 43.1, "yearly_returns": [ { "year": 2022, "return_pct": 13.5 }, { "year": 2023, "return_pct": 2.3 }, { "year": 2024, "return_pct": 5.4 } ], "start_date": "2022-06-28", "end_date": "2024-06-25" }, { "variant": "residual80_lowvol_blend_fixed10", "label": "Residual 80 + low-vol blend / max 10", "ranking": "residual_low_vol_blend", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 11832.29, "total_return_pct": 18.3, "cagr_pct": 8.4, "max_drawdown_pct": 23.5, "sharpe": 0.55, "trades": 157, "win_rate": 32.5, "avg_trade_pnl": 11.67, "best_trade_r": 8.91, "worst_trade_r": -1.68, "best_trade_pnl": 665.56, "worst_trade_pnl": -147.36, "avg_hold_days": 16.2, "exit_reasons": { "stop": 101, "time": 56 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": 4.5 }, { "year": 2023, "return_pct": -2.6 }, { "year": 2024, "return_pct": 16.2 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" }, { "variant": "residual80_highvol50_fixed10", "label": "Residual 80 + high-vol 50 / max 10", "ranking": "residual+high_vol_filter", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 }, { "percentile_key": "vol_6m_percentile", "cutoff": 50.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 16416.6, "total_return_pct": 64.2, "cagr_pct": 27.1, "max_drawdown_pct": 19.7, "sharpe": 1.19, "trades": 147, "win_rate": 36.1, "avg_trade_pnl": 43.65, "best_trade_r": 9.03, "worst_trade_r": -1.4, "best_trade_pnl": 1043.31, "worst_trade_pnl": -176.61, "avg_hold_days": 16.7, "exit_reasons": { "stop": 92, "time": 55 }, "skipped_book_full": 0, "spy_return_pct": 43.7, "yearly_returns": [ { "year": 2022, "return_pct": 7.1 }, { "year": 2023, "return_pct": 41.2 }, { "year": 2024, "return_pct": 8.6 } ], "start_date": "2022-07-06", "end_date": "2024-07-31" }, { "variant": "residual80_highvol70_fixed10", "label": "Residual 80 + high-vol 70 / max 10", "ranking": "residual+high_vol_filter", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 }, { "percentile_key": "vol_6m_percentile", "cutoff": 70.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 14292.25, "total_return_pct": 42.9, "cagr_pct": 18.8, "max_drawdown_pct": 24.6, "sharpe": 0.9, "trades": 140, "win_rate": 35.0, "avg_trade_pnl": 30.66, "best_trade_r": 9.09, "worst_trade_r": -1.4, "best_trade_pnl": 947.08, "worst_trade_pnl": -176.61, "avg_hold_days": 16.1, "exit_reasons": { "stop": 89, "time": 51 }, "skipped_book_full": 0, "spy_return_pct": 43.7, "yearly_returns": [ { "year": 2022, "return_pct": 11.3 }, { "year": 2023, "return_pct": 22.9 }, { "year": 2024, "return_pct": 4.5 } ], "start_date": "2022-07-06", "end_date": "2024-07-31" }, { "variant": "residual80_highvol_blend90_10_fixed10", "label": "Residual 80 + high-vol 90/10 blend / max 10", "ranking": "residual_high_vol_blend_90_10", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 16405.61, "total_return_pct": 64.1, "cagr_pct": 26.7, "max_drawdown_pct": 16.9, "sharpe": 1.21, "trades": 154, "win_rate": 37.0, "avg_trade_pnl": 41.59, "best_trade_r": 9.03, "worst_trade_r": -1.39, "best_trade_pnl": 1071.34, "worst_trade_pnl": -172.81, "avg_hold_days": 17.3, "exit_reasons": { "stop": 93, "time": 61 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": 6.7 }, { "year": 2023, "return_pct": 45.2 }, { "year": 2024, "return_pct": 5.9 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" }, { "variant": "residual80_highvol_blend80_20_fixed10", "label": "Residual 80 + high-vol 80/20 blend / max 10", "ranking": "residual_high_vol_blend_80_20", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 13622.42, "total_return_pct": 36.2, "cagr_pct": 15.9, "max_drawdown_pct": 18.2, "sharpe": 0.8, "trades": 157, "win_rate": 32.5, "avg_trade_pnl": 23.07, "best_trade_r": 9.09, "worst_trade_r": -1.39, "best_trade_pnl": 967.29, "worst_trade_pnl": -172.8, "avg_hold_days": 16.2, "exit_reasons": { "stop": 103, "time": 54 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": 6.1 }, { "year": 2023, "return_pct": 21.2 }, { "year": 2024, "return_pct": 5.9 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" }, { "variant": "residual80_highvol_blend_fixed10", "label": "Residual 80 + high-vol 70/30 blend / max 10", "ranking": "residual_high_vol_blend_70_30", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 14220.89, "total_return_pct": 42.2, "cagr_pct": 18.3, "max_drawdown_pct": 17.4, "sharpe": 0.89, "trades": 157, "win_rate": 35.0, "avg_trade_pnl": 26.88, "best_trade_r": 9.09, "worst_trade_r": -1.39, "best_trade_pnl": 994.56, "worst_trade_pnl": -172.8, "avg_hold_days": 16.7, "exit_reasons": { "stop": 99, "time": 58 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": 8.5 }, { "year": 2023, "return_pct": 21.2 }, { "year": 2024, "return_pct": 8.1 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" }, { "variant": "residual80_highvol_blend60_40_fixed10", "label": "Residual 80 + high-vol 60/40 blend / max 10", "ranking": "residual_high_vol_blend_60_40", "cutoff": 80.0, "filters": [ { "percentile_key": "activation_momentum_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 13681.67, "total_return_pct": 36.8, "cagr_pct": 16.2, "max_drawdown_pct": 16.8, "sharpe": 0.82, "trades": 155, "win_rate": 34.2, "avg_trade_pnl": 23.75, "best_trade_r": 9.09, "worst_trade_r": -1.39, "best_trade_pnl": 1010.21, "worst_trade_pnl": -172.77, "avg_hold_days": 16.6, "exit_reasons": { "stop": 99, "time": 56 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": 10.8 }, { "year": 2023, "return_pct": 18.8 }, { "year": 2024, "return_pct": 4.0 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" }, { "variant": "highvol70_fixed10", "label": "High-vol 70 / max 10", "ranking": "high_vol", "cutoff": 70.0, "filters": [ { "percentile_key": "vol_6m_percentile", "cutoff": 70.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 14182.37, "total_return_pct": 41.8, "cagr_pct": 14.3, "max_drawdown_pct": 34.1, "sharpe": 0.58, "trades": 284, "win_rate": 32.7, "avg_trade_pnl": 14.73, "best_trade_r": 9.85, "worst_trade_r": -3.97, "best_trade_pnl": 908.28, "worst_trade_pnl": -535.2, "avg_hold_days": 16.0, "exit_reasons": { "stop": 185, "time": 99 }, "skipped_book_full": 570, "spy_return_pct": 8.8, "yearly_returns": [ { "year": 2021, "return_pct": 0.4 }, { "year": 2022, "return_pct": -30.7 }, { "year": 2023, "return_pct": 129.5 }, { "year": 2024, "return_pct": -11.0 } ], "start_date": "2021-12-28", "end_date": "2024-08-07" }, { "variant": "highvol80_fixed10", "label": "High-vol 80 / max 10", "ranking": "high_vol", "cutoff": 80.0, "filters": [ { "percentile_key": "vol_6m_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 12024.44, "total_return_pct": 20.2, "cagr_pct": 7.3, "max_drawdown_pct": 36.7, "sharpe": 0.38, "trades": 290, "win_rate": 32.1, "avg_trade_pnl": 6.98, "best_trade_r": 9.85, "worst_trade_r": -3.97, "best_trade_pnl": 796.94, "worst_trade_pnl": -460.38, "avg_hold_days": 15.6, "exit_reasons": { "stop": 191, "time": 99 }, "skipped_book_full": 356, "spy_return_pct": 8.8, "yearly_returns": [ { "year": 2021, "return_pct": 0.4 }, { "year": 2022, "return_pct": -33.5 }, { "year": 2023, "return_pct": 107.9 }, { "year": 2024, "return_pct": -13.3 } ], "start_date": "2021-12-28", "end_date": "2024-08-07" }, { "variant": "highvol90_fixed10", "label": "High-vol 90 / max 10", "ranking": "high_vol", "cutoff": 90.0, "filters": [ { "percentile_key": "vol_6m_percentile", "cutoff": 90.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 10966.06, "total_return_pct": 9.7, "cagr_pct": 3.6, "max_drawdown_pct": 43.3, "sharpe": 0.27, "trades": 267, "win_rate": 31.1, "avg_trade_pnl": 3.62, "best_trade_r": 9.85, "worst_trade_r": -3.97, "best_trade_pnl": 710.65, "worst_trade_pnl": -411.65, "avg_hold_days": 15.4, "exit_reasons": { "stop": 177, "time": 90 }, "skipped_book_full": 133, "spy_return_pct": 8.8, "yearly_returns": [ { "year": 2021, "return_pct": -0.3 }, { "year": 2022, "return_pct": -41.6 }, { "year": 2023, "return_pct": 112.4 }, { "year": 2024, "return_pct": -11.3 } ], "start_date": "2021-12-28", "end_date": "2024-08-07" }, { "variant": "lowvol80_fixed10", "label": "Low-vol 80 / max 10", "ranking": "low_vol", "cutoff": 80.0, "filters": [ { "percentile_key": "low_vol_6m_percentile", "cutoff": 80.0 } ], "max_positions": 10, "risk_per_trade_pct": 1.0, "risk_scale": null, "starting_capital": 10000.0, "final_equity": 10757.69, "total_return_pct": 7.6, "cagr_pct": 3.3, "max_drawdown_pct": 16.0, "sharpe": 0.32, "trades": 115, "win_rate": 30.4, "avg_trade_pnl": 6.59, "best_trade_r": 8.62, "worst_trade_r": -1.94, "best_trade_pnl": 534.88, "worst_trade_pnl": -129.41, "avg_hold_days": 16.5, "exit_reasons": { "stop": 75, "time": 40 }, "skipped_book_full": 0, "spy_return_pct": 8.7, "yearly_returns": [ { "year": 2021, "return_pct": -0.2 }, { "year": 2022, "return_pct": 5.8 }, { "year": 2023, "return_pct": 1.3 }, { "year": 2024, "return_pct": 0.6 } ], "start_date": "2021-12-28", "end_date": "2024-04-05" } ], "note": "Research-only hold-to-horizon portfolio variants. Production now uses residual 12-1 momentum at cutoff 80; the remaining rows compare the legacy raw rank, raw cutoff 90, one max-15 capacity check, and volatility overlays." }, "exit_policy_variants": { "variants": [ { "entry_variant": "residual80_highvol_blend80_20_fixed10", "exit_policy": "hold", "label": "80/20 entry + 30d hold / initial stop", "description": "Baseline: keep the initial ATR stop and exit at 30 trading days.", "hold_days": 30, "starting_capital": 10000.0, "final_equity": 13622.42, "total_return_pct": 36.2, "cagr_pct": 15.9, "max_drawdown_pct": 18.2, "sharpe": 0.8, "trades": 157, "win_rate": 32.5, "avg_trade_pnl": 23.07, "best_trade_r": 9.09, "worst_trade_r": -1.39, "best_trade_pnl": 967.29, "worst_trade_pnl": -172.8, "avg_hold_days": 16.2, "exit_reasons": { "stop": 103, "time": 54 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": 6.1 }, { "year": 2023, "return_pct": 21.2 }, { "year": 2024, "return_pct": 5.9 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" }, { "entry_variant": "residual80_highvol_blend80_20_fixed10", "exit_policy": "sma50", "label": "80/20 entry + SMA50 break", "description": "Exit at the close when price closes below its 50-day SMA.", "hold_days": 30, "starting_capital": 10000.0, "final_equity": 15171.16, "total_return_pct": 51.7, "cagr_pct": 22.1, "max_drawdown_pct": 17.3, "sharpe": 1.07, "trades": 195, "win_rate": 33.3, "avg_trade_pnl": 26.52, "best_trade_r": 9.09, "worst_trade_r": -1.4, "best_trade_pnl": 1049.05, "worst_trade_pnl": -166.9, "avg_hold_days": 12.4, "exit_reasons": { "sma50": 74, "stop": 72, "time": 49 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": 5.6 }, { "year": 2023, "return_pct": 45.5 }, { "year": 2024, "return_pct": -1.2 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" }, { "entry_variant": "residual80_highvol_blend80_20_fixed10", "exit_policy": "low20", "label": "80/20 entry + 20-day low break", "description": "Exit at the close when price closes below the prior 20-day low.", "hold_days": 30, "starting_capital": 10000.0, "final_equity": 13509.07, "total_return_pct": 35.1, "cagr_pct": 15.5, "max_drawdown_pct": 18.0, "sharpe": 0.79, "trades": 158, "win_rate": 31.6, "avg_trade_pnl": 22.21, "best_trade_r": 9.09, "worst_trade_r": -1.39, "best_trade_pnl": 970.24, "worst_trade_pnl": -172.8, "avg_hold_days": 16.2, "exit_reasons": { "low20": 11, "stop": 97, "time": 50 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": 6.0 }, { "year": 2023, "return_pct": 21.0 }, { "year": 2024, "return_pct": 5.4 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" }, { "entry_variant": "residual80_highvol_blend80_20_fixed10", "exit_policy": "technical40", "label": "80/20 entry + technical score < 40", "description": "Exit at the close when the price-derived technical score deteriorates below 40.", "hold_days": 30, "starting_capital": 10000.0, "final_equity": 13622.42, "total_return_pct": 36.2, "cagr_pct": 15.9, "max_drawdown_pct": 18.2, "sharpe": 0.8, "trades": 157, "win_rate": 32.5, "avg_trade_pnl": 23.07, "best_trade_r": 9.09, "worst_trade_r": -1.39, "best_trade_pnl": 967.29, "worst_trade_pnl": -172.8, "avg_hold_days": 16.2, "exit_reasons": { "stop": 103, "time": 54 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": 6.1 }, { "year": 2023, "return_pct": 21.2 }, { "year": 2024, "return_pct": 5.9 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" }, { "entry_variant": "residual80_highvol_blend80_20_fixed10", "exit_policy": "atr_trail3", "label": "80/20 entry + 3x ATR trailing stop", "description": "Trail the stop upward to highest close minus 3 ATR, evaluated from prior data.", "hold_days": 30, "starting_capital": 10000.0, "final_equity": 13819.51, "total_return_pct": 38.2, "cagr_pct": 16.7, "max_drawdown_pct": 20.7, "sharpe": 0.87, "trades": 168, "win_rate": 33.3, "avg_trade_pnl": 22.74, "best_trade_r": 9.09, "worst_trade_r": -1.34, "best_trade_pnl": 945.5, "worst_trade_pnl": -142.26, "avg_hold_days": 14.4, "exit_reasons": { "stop": 77, "time": 28, "trailing_stop": 63 }, "skipped_book_full": 0, "spy_return_pct": 44.7, "yearly_returns": [ { "year": 2022, "return_pct": 9.4 }, { "year": 2023, "return_pct": 17.2 }, { "year": 2024, "return_pct": 7.8 } ], "start_date": "2022-06-28", "end_date": "2024-07-31" } ], "note": "Research-only exit policies over the residual/high-vol 80/20 entry candidate. Every row uses the same entry qualification/ranking and changes only the exit discipline." }, "portfolio_monitor": { "production_strategy": "residual80_highvol80_20_atr3", "strategies": [ { "strategy": "legacy_residual80_hold", "label": "Legacy residual 80 + 30d hold", "description": "Previous production baseline: residual momentum gate/rank with 30-trading-day hold.", "is_production": false }, { "strategy": "residual80_highvol80_20_hold", "label": "Residual/high-vol 80/20 + 30d hold", "description": "Promoted entry candidate before adding the ATR trailing exit.", "is_production": false }, { "strategy": "residual80_highvol80_20_atr3", "label": "Production: residual/high-vol 80/20 + 3x ATR trail", "description": "The live strategy: production activation gate and Admin exit policy as currently configured, 80/20 residual/high-vol rank.", "is_production": true } ], "lookbacks": [ { "lookback": "6m", "label": "6 months" }, { "lookback": "1y", "label": "1 year" }, { "lookback": "3y", "label": "3 years" }, { "lookback": "5y", "label": "5 years" }, { "lookback": "all", "label": "All history" } ], "runs": [ { "strategy": "legacy_residual80_hold", "label": "Legacy residual 80 + 30d hold", "description": "Previous production baseline: residual momentum gate/rank with 30-trading-day hold.", "is_production": false, "entry_variant": "production_residual_80_fixed10", "exit_policy": "hold", "live_exit_mode": null, "lookback": "3y", "lookback_label": "3 years", "starting_capital": 10000.0, "final_equity": 12142.75, "total_return_pct": 21.4, "cagr_pct": 19.7, "max_drawdown_pct": 18.7, "sharpe": 0.98, "trades": 60, "win_rate": 35.0, "avg_trade_pnl": 35.71, "best_trade_r": 7.34, "worst_trade_r": -1.15, "best_trade_pnl": 654.57, "worst_trade_pnl": -125.35, "avg_hold_days": 19.2, "exit_reasons": { "stop": 35, "time": 25 }, "skipped_book_full": 0, "spy_return_pct": 24.1, "yearly_returns": [ { "year": 2023, "return_pct": 11.8 }, { "year": 2024, "return_pct": 8.6 } ], "start_date": 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runs supported named strategies across cached lookbacks. Local snapshot backtests remain the research surface for broad variant sweeps." }, "holdout": null, "min_rr_sweep": null, "sr_variant_diagnostics": { "variant": "gate_v2_legacy_primary", "candidate_count": 120265, "primary_source_counts": { "pivot_point": 118742, "round_number": 68521, "volume_profile": 56554 }, "primary_round_only": 630, "primary_strength_100": 13630, "avg_primary_strength": 69.06, "avg_primary_distance_atr": 2.199, "avg_primary_rejection_count": 7.408, "avg_raw_level_count": 23.962, "avg_gate_level_count": 22.975 }, "sr_candidate_audit": [ { "symbol": "ABBV", "date": "2022-06-28", "direction": "long", "qualified": true, "meets_core": true, "momentum_percentile": 89.72973, "strategy_rank": 64.946733, "rr": 2.137669, "primary_prob": 30.19, "primary_sources": [ "pivot_point" ], "primary_strength": 37.0, "primary_rejection_count": 2, "primary_distance_atr": 3.206503, "raw_level_count": 27, "gate_level_count": 26, "outcome": "stop_hit", "net_r": -1.053574, "hold30_r": 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"volume_profile" ], "primary_strength": 67.0, "primary_rejection_count": 2, "primary_distance_atr": 1.166963, "raw_level_count": 21, "gate_level_count": 20, "outcome": "target_hit", "net_r": 0.754121, "hold30_r": -1.0 }, { "symbol": "WAB", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 92.789598, "strategy_rank": 73.160266, "rr": 1.774743, "primary_prob": 26.99, "primary_sources": [ "pivot_point", "round_number", "volume_profile" ], "primary_strength": 72.0, "primary_rejection_count": 4, "primary_distance_atr": 2.662115, "raw_level_count": 54, "gate_level_count": 52, "outcome": "stop_hit", "net_r": -1.070411, "hold30_r": -1.0 }, { "symbol": "WDC", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 95.390071, "strategy_rank": 91.784842, "rr": 0.953331, "primary_prob": 41.65, "primary_sources": [ "pivot_point", "round_number" ], "primary_strength": 55.0, "primary_rejection_count": 2, "primary_distance_atr": 1.429997, "raw_level_count": 40, "gate_level_count": 39, "outcome": "target_hit", "net_r": 0.910731, "hold30_r": -1.0 }, { "symbol": "WFC", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 87.470449, "strategy_rank": 71.311862, "rr": 1.645747, "primary_prob": 30.65, "primary_sources": [ "pivot_point", "round_number", "volume_profile" ], "primary_strength": 80.0, "primary_rejection_count": 6, "primary_distance_atr": 2.46862, "raw_level_count": 29, "gate_level_count": 28, "outcome": "target_hit", "net_r": 1.580977, "hold30_r": -1.143666 }, { "symbol": "WRB", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 88.179669, "strategy_rank": 70.959259, "rr": 1.576522, "primary_prob": 29.85, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 70.0, "primary_rejection_count": 7, "primary_distance_atr": 2.364784, "raw_level_count": 41, "gate_level_count": 40, "outcome": "stop_hit", "net_r": -1.08326, "hold30_r": -1.0 }, { "symbol": "WSM", "date": "2024-06-25", "direction": "long", "qualified": false, "meets_core": false, "momentum_percentile": 97.399527, "strategy_rank": 96.410801, "rr": 0.870834, "primary_prob": 51.18, "primary_sources": [ "pivot_point", "volume_profile" ], "primary_strength": 89.0, "primary_rejection_count": 6, "primary_distance_atr": 1.306251, "raw_level_count": 31, "gate_level_count": 30, "outcome": "stop_hit", "net_r": -1.029207, "hold30_r": -1.0 } ], "signal_eval": [ { "signal": "vol_6m", "weeks": 39, "avg_cross_section": 498.2, "mean_ic": 0.0609, "ic_t_stat": 1.48, "ic_positive_pct": 64.1, "mean_quintile_spread": 0.0337, "reliable": true }, { "signal": "mom_12_1_resid", "weeks": 35, "avg_cross_section": 497.7, "mean_ic": 0.0552, "ic_t_stat": 1.98, "ic_positive_pct": 60.0, "mean_quintile_spread": 0.0207, "reliable": true }, { "signal": "mom_12_1", "weeks": 35, "avg_cross_section": 497.7, "mean_ic": 0.0531, "ic_t_stat": 1.61, "ic_positive_pct": 65.7, "mean_quintile_spread": 0.0206, "reliable": true }, { "signal": "trend_200", "weeks": 37, "avg_cross_section": 497.9, "mean_ic": 0.0161, "ic_t_stat": 0.44, "ic_positive_pct": 59.5, "mean_quintile_spread": 0.006, "reliable": true }, { "signal": "reversal_1m", "weeks": 43, "avg_cross_section": 498.7, "mean_ic": 0.0059, "ic_t_stat": 0.22, "ic_positive_pct": 53.5, "mean_quintile_spread": 0.0053, "reliable": true }, { "signal": "mom_6_1", "weeks": 39, "avg_cross_section": 498.2, "mean_ic": 0.0051, "ic_t_stat": 0.21, "ic_positive_pct": 56.4, "mean_quintile_spread": 0.0087, "reliable": true }, { "signal": "mom_3_1", "weeks": 42, "avg_cross_section": 498.5, "mean_ic": -0.0064, "ic_t_stat": -0.25, "ic_positive_pct": 50.0, "mean_quintile_spread": 0.0046, "reliable": true }, { "signal": "high_52w", "weeks": 35, "avg_cross_section": 497.7, "mean_ic": -0.0086, "ic_t_stat": -0.26, "ic_positive_pct": 54.3, "mean_quintile_spread": -0.0088, "reliable": true } ], "signal_eval_note": "Cross-sectional rank-IC of price-only signals vs the forward 30-day return (min 20 names/window). |IC| \u2273 0.03 with a consistent sign is a real (if small) edge; near 0 means ranking on it sorts nothing. Momentum factors and high_52w are expected positive; reversal_1m and vol_6m expected negative (mean-reversion / low-vol anomaly). IC is measured on non-overlapping windows; signals with fewer than 12 independent windows are flagged unreliable (too few regimes \u2014 deepen history with the Data Backfill job).", "note": "Sentiment & fundamentals held neutral (no point-in-time history). Stops fill at the worse of the stop or the bar's open (gaps through the stop are modeled, so a loss can exceed \u22121R); targets never fill better than their level. ~6 months \u2248 one market regime \u2014 treat as directional, not gospel.", "recommendation": { "headline": "Production baseline: residual/high-vol 80/20 entry rank with a 3x ATR trailing exit and 30-trading-day max hold.", "items": [ { "topic": "production", "text": "Production monitor (All history): +16.7% CAGR, Sharpe 0.87, max drawdown -20.7%." }, { "topic": "exit", "text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.46R net/trade vs +0.19R for the S/R target exit). The simulated book agrees: +21.0% vs +7.1% CAGR at similar drawdown." }, { "topic": "gate", "text": "Gate: the confidence floor adds nothing \u2014 dropping it costs +0.01R/trade and adds 23 trades." }, { "topic": "gate", "text": "Gate: keep the R:R floor (worth +0.15R/trade under the hold exit)." }, { "topic": "gate", "text": "Gate: the NEUTRAL exclusion adds nothing \u2014 dropping it costs -0.01R/trade and adds 755 trades." }, { "topic": "cutoff", "text": "Residual-momentum cutoff: 60 has the best per-trade net (+0.21R over 1462 setups)." }, { "topic": "benchmark", "text": "Book vs SPY: beats buy-and-hold by +4.3 points (+49.0% vs +44.7%), max drawdown \u221216.2%." }, { "topic": "robustness", "text": "Robustness: expectancy survives removing the top 5% of winners (+0.12R net/trade under the recommended 30d hold) \u2014 the edge is not a handful of outliers." } ], "note": "Derived from this report's numbers on every run \u2014 the advice flips if the data does." }, "research_recommendation": { "items": [ { "topic": "capacity_15", "candidate": false, "text": "Max-15 capacity is not needed yet: Sharpe 1.01 vs 1.01, CAGR +21.0% vs +21.0%, skipped 0 vs 0." }, { "topic": "cutoff_90", "candidate": false, "text": "Cutoff 90 stays research-only: Raw 90 / max 10 Sharpe 0.34 vs 1.01, drawdown 19.3% vs 16.2%, CAGR +4.5% vs +21.0%." }, { "topic": "low_vol_overlay", "candidate": false, "text": "Low-vol overlay stays research-only: Residual 80 + low-vol 50 / max 10 Sharpe 1.79 vs 1.01, drawdown 7.8% vs 16.2%, CAGR +17.3% vs +21.0%." }, { "topic": "high_vol_overlay", "candidate": false, "text": "High-vol overlay stays research-only: Residual 80 + high-vol 90/10 blend / max 10 Sharpe 1.21 vs 1.01, drawdown 16.9% vs 16.2%, CAGR +26.7% vs +21.0%." } ], "note": "Residual 12-1 momentum is now the production activation rank. Remaining rows are research comparisons only." } }